Re: [Quantlib-users] Sabr model parameters calibration

[Shashank C. <sha...@gm...>]

Hi jack ,

Thank you for your help. I really appreciate it.
I am not sure what library does the “minimize” function belongs to ?
I am not a Python programmer so I am trying to translate this code to C++.

Regards
Shashank

On Thu, Aug 11, 2022 at 9:24 AM Jack G <jac...@gm...> wrote:

> Shashank,
>
> Can I recommend this excellent answer by David Duarte that I think will do
> exactly what you want?
>
>
> https://quant.stackexchange.com/questions/57786/sabr-model-pricing-engine-in-python-quantlib
>
> Best,
> Jack
>
> On Tue, Aug 9, 2022 at 11:17 AM Shashank Choudhary <
> sha...@gm...> wrote:
>
>> Hi Jack ,
>>
>> I am trying to find the values of Rho and Nu which minimize the mean
>> squared error between market volatility and volatility computed using the
>> sabr model formula for a given set of parameters (alpha, rho, nu , beta). I
>> can assume Beta to be 0.5 while alpha can be ATM volatility.
>> Now I need to set up the calibration as explained in the MATLAB version
>> below
>>
>> https://www.mathworks.com/help/fininst/calibrating-the-sabr-model.html
>>
>> Now quantlib has the sabr model class in C++ with the formula to compute
>> the volatility, but I need to calibrate the parameters rho and Nu
>> that minimises the error function.
>>
>> Hope this makes sense :)
>>
>> regards
>> Shashank
>>
>>
>>
>> On Mon, Aug 8, 2022 at 7:14 PM Jack G <jac...@gm...> wrote:
>>
>>> Hi Shashank,
>>>
>>> What exactly are you trying to do here? SABR is a funny one because
>>> although it is a "model", it usually isn't used as such and is just used
>>> for smile interpolation at a given tenor (with different SABR "models"
>>> fitted to each tenor). Quite a lot of the art is about how to choose these
>>> adjacent smile fits.
>>>
>>> I'm not aware of an inbuilt calibrator but it should be easy enough to
>>> calibrate to a given vol smile. How are you interacting with QuantLib?
>>> There are some exams of calibrators in the cookbook I believe, and I have
>>> some python code for QuantLib that will do this for SABR as well if it
>>> help,.
>>>
>>>
>>> Best,
>>> Jack
>>>
>>>
>>> On Tue, 9 Aug 2022, 06:01 Shashank Choudhary, <sha...@gm...>
>>> wrote:
>>>
>>>> Hi ,
>>>>
>>>> How do I use the calibration engine for the SABR model parameters? I
>>>> can access the sabr model class and find implied volatilities for a given
>>>> set of parameters but I can’t locate and use the calibration engine, if
>>>> there’s one.
>>>>
>>>> Any help would be much appreciated :)
>>>>
>>>> Regards
>>>> Shashank
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>>>>
>>>>